Value Investing Strategy (Strategy Overview)
Momentum Investing Strategy (Strategy Overview)
FFR Actions, Stock Market Returns and Bond Yields
December 30, 2022 • Posted in Bonds, Economic Indicators, Equity Premium
Do Federal Funds Rate (FFR) actions taken by the Federal Reserve open market operations committee reliably predict stock market and U.S. Treasuries yield reactions? To investigate, we use the S&P 500 Index as a proxy for the stock market and the yield for theĀ 10-Year U.S. Constant Maturity Treasury note (T-note). We look at index returns and changes in T-note yield during the one and two months after FFR actions, separately for FFR increases and FFR decreases. Using data for the three series during January 1990 through mid-December 2022, we find that:
Please log in or subscribe to continue reading...
Gain access to hundreds of premium articles, our momentum strategy, full RSS feeds, and more! Learn more